We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample without making any assumptions about the statistical properties of the time series. We use the results to give insights about the properties of the HP filter and to build a fast algorithm with computational improvements by a factor of up to three times in samples typical in economics
The Hodrick-Prescott (HP) filter is a commonly used method, particularly in potential output studies...
This paper modifies the standard Hodrick Prescot Filter in order to reduce the problem of misleading...
The article explores and illustrates some of the typical trade-offs which arise in designing filters...
We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample ...
The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics used to extract a trend c...
Abstract The Hodrick-Prescott filter is often applied to economic series as part of the study of bus...
This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of...
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Com...
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroe...
In this paper, we consider a version of the functional Hodrick-Prescott filter for functional time s...
The purpose of this paper is to discuss the filter from an empirical point of view trying to clarify...
The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into ...
Bei der Analyse ökonomischer/historischer Zeitreihen ist die Bestimmung des Trends seit langem eines...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
ABSTRACT. This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (...
The Hodrick-Prescott (HP) filter is a commonly used method, particularly in potential output studies...
This paper modifies the standard Hodrick Prescot Filter in order to reduce the problem of misleading...
The article explores and illustrates some of the typical trade-offs which arise in designing filters...
We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample ...
The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics used to extract a trend c...
Abstract The Hodrick-Prescott filter is often applied to economic series as part of the study of bus...
This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of...
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Com...
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroe...
In this paper, we consider a version of the functional Hodrick-Prescott filter for functional time s...
The purpose of this paper is to discuss the filter from an empirical point of view trying to clarify...
The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into ...
Bei der Analyse ökonomischer/historischer Zeitreihen ist die Bestimmung des Trends seit langem eines...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
ABSTRACT. This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (...
The Hodrick-Prescott (HP) filter is a commonly used method, particularly in potential output studies...
This paper modifies the standard Hodrick Prescot Filter in order to reduce the problem of misleading...
The article explores and illustrates some of the typical trade-offs which arise in designing filters...